problem with deformation of curve modifier
It's all about the order of events.

'First and Last' merging in the Array modifier doesn't work because the Curve hasn't happened yet. (It's only really useful when the rotation is performed in the array)
Modifiers operate on the mesh as handed to them by the stack. But edits on the mesh happen before any modifiers. So you have merged vertices on the strip in its uncurled state. If you switch off the Curve modifier, you can see:


One way of merging the ends of a cyclically-deformed array is to put a Weld modifier below the Curve. Then you can leave all your modifiers live.